This is one of my (many) favorite songs from the Valdemar collection. Dark and Stormy Night refers to a bit of backstory that happened during the time of Tarma and Kethry, though they hadn't been a part of it. It's first referred to in Arrows of the Queen when Dirk sings the song. Then at the end of Oathbreakers, it's brought up again as something that had actually happened fairly recently before the song had been written. (Oathbreakers was written after Arrows, but chronologically it happens before.)
Some of the Valdemar songs are ones that characters actually know in the stories, while others are simply from their point of view about things going on. Heralds, Harpers, and Havoc has some of both, and it's just one of several CDs. I got sucked into the music at the same time as the books thanks to a couple friends. Been a fan ever since. Hope you enjoy the song even if you have no interest in the rest. You certainly don't need the books to appreciate it except to know that the Heralds mentioned in the song act on behalf of the Crown as messengers and peacekeepers, among other duties.